Overall, the results show that both the CAViaR-AS and CAViaR-IG dynamics are associated with smaller losses compared to the CAViaR-SAV model, except for the case of \(\tau  = [0.1, 0.1, 0.1]\) . Moreover, in line with [1]}, we find evidence of a better forecasting performance when using the constant multiplicative factor \((1 + e^{\gamma _{0j}})\)  to model the ES parameter (Panel A), compared to the AR dynamics (Panel B).
